与资本市场收益变动相关的最优再保险策略

本文在假定资本市场变动与保险公司资本收益变动存在相关性的情况下,研究了保险公司最优再保险策略问题.利用HJB-变分不等方程,获得了最优再保险策略和最小破产概率的显示表达式,推广了文献[3]的结果.     

A hybrid of adjustable trust-region and nonmonotone algorithms for unconstrained optimization

This study devotes to incorporating a nonmonotone strategy with an automatically adjusted trust-region radius to propose a more efficient hybrid of trust-region approaches for unconstrained optimization. The primary objective of the paper is to introduce a more relaxed trust-region approach based on a novel extension in trust-region ratio and radius. The next aim is to employ stronger nonmonotone strategies, i.e. bigger trust-region ratios, far from the optimizer and weaker nonmonotone strategies, i.e. smaller trust-region ratios, close to the optimizer. The global convergence to first-order stationary points as well as the local superlinear and quadratic convergence rates are also proved under some reasonable conditions. Some preliminary numerical results and comparisons are also reported.     

Flexible capacity strategy with multiple market periods under demand uncertainty and investment constraint

We establish a flexible capacity strategy model with multiple market periods under demand uncertainty and investment constraints. In the model, a firm makes its capacity decision under a financial budget constraint at the beginning of the planning horizon which embraces n market periods. In each market period, the firm goes through three decision-making stages: the safety production stage, the additional production stage and the optimal sales stage. We formulate the problem and obtain the optimal capacity, the optimal safety production, the optimal additional production and the optimal sales of each market period under different situations. We find that there are two thresholds for the unit capacity cost. When the capacity cost is very low, the optimal capacity is determined by its financial budget; when the capacity cost is very high, the firm keeps its optimal capacity at its safety production level; and when the cost is in between of the two thresholds, the optimal capacity is determined by the capacity cost, the number of market periods and the unit cost of additional production. Further, we explore the endogenous safety production level. We verify the conditions under which the firm has different optimal safety production levels. Finally, we prove that the firm can benefit from the investment only when the designed planning horizon is longer than a threshold. Moreover, we also derive the formulae for the above three thresholds.     

Competition through capacity investment under asymmetric existing capacities and costs

This paper discusses the way that different operational characteristics including existing capacity, scale economies, and production policy have an important influence on the capacity outcomes when firms compete in the market place. We formulate a game-theoretical model where each firm has an existing capacity and faces both fixed and variable costs in purchasing additional capacity. Specifically, the firms simultaneously (or sequentially) make their expansion decisions, and then simultaneously decide their production decisions with these outputs being capacity constrained. We also compare our results with cases where production has to match capacity. By characterizing the firms’ capacity and production choices in equilibrium, our analysis shows that the operational factors play a crucial role in determining what happens. The modeling and analysis in the paper gives insight into the way that the ability to use less production capacity than has been built will undermine the commitment value of existing capacity. If a commitment to full production is not possible, sinking operational costs can enable a firm to keep some preemptive advantage. We also show that the existence of fixed costs can introduce cases where there are either no pure strategy equilibrium or multiple equilibria. The managerial implications of our analysis are noted in the discussion. Our central contribution in this paper is the innovative integration of the strategic analysis of capacity expansion and well-known (s,S)$(s\text{,}S)$ policy in operations and supply chain theory.     

More than a second channel? Supply chain strategies in B2B spot markets

The emergence of B2B spot markets has greatly facilitated spot trading and impacted supply chain structures as well as the way commercial transactions take place between firms in many industries. While providing new opportunities, the B2B spot market also exposes participants to a price risk. This new business landscape raises some important questions on how the supplier and manufacturer should change their sales channel and procurement strategies and tailor their decisions to this changing environment. In this paper, we study the channel-choice, pricing and ordering/production decisions of the risk-averse supplier and manufacturer in a two-tier supply chain with a B2B spot market. Our analysis shows that, to benefit from the B2B spot market and control the risk exposure, the upstream supplier should develop an integrated channel-choice and pricing strategy. When the supplier adopts a dual-channel strategy, the equilibrium contract price decreases in the supplier’s risk attitude, but increases in the demand uncertainty. However, it first decreases and then increases in the manufacturer’s risk attitude and spot price volatility. We conclude that rather than simply being a second channel, the B2B spot market provides a strategic tool to supply chain members to achieve an advantageous position in their contract trading.     

Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and inflation risk are considered. We suppose that the instantaneous nominal interest rate follows an Ornstein–Uhlenbeck process, and the inflation index is given by a generalized Fisher equation. To make the market complete, zero-coupon bonds and Treasury Inflation Protected Securities (TIPS) are included in the market. The financial market consists of cash, zero-coupon bond, TIPS and stock. We employ the stochastic dynamic programming to derive the closed-forms of the optimal reinsurance and investment strategies as well as the optimal utility function under the constant relative risk aversion (CRRA) utility maximization. Sensitivity analysis is given to show the economic behavior of the optimal strategies and optimal utility.     

复合二项对偶模型的最优分红问题

研究复合二项对偶模型的最优分红问题,通过分析HJB方程得到了最优分红策略和相应的最优值函数之间的关系以及最优值函数的简单计算方法.通过讨论最优红利策略的一些性质得到了最优值函数的可无限逼近的上界和下界.     

时滞系统在博弈中的应用研究

演化博弈理论解决策略均衡问题是目前比较认可的好方法.对于博弈方的经验行为,还未曾研究.本文以非对称2×2的博弈问题为研究对象,建立起带有时滞的博弈系统,通过动力学相关知识,分别研究了两类系统下博弈参与者策略的稳定状态.数值模拟分析了延时给决策带来的影响.实验表明,时滞作用不改变策略的稳定状态,改变的仅是达到稳态的速率.     

嫦娥三号软着陆轨道设计与控制策略的优化模型

针对嫦娥三号软着陆轨道设计与控制策略问题,在合理假设的前提下,建立动力学模型,求解得到了嫦娥三号着陆准备轨道近月点和远月点的速度。针对软着陆过程的6个阶段,通过受力分析,建立了嫦娥三号运动的微分方程模型,以燃料消耗最小为优化目标,以每个阶段的起止状态为约束条件,将软着陆轨道的优化设计问题转化为主发动机推力的泛函极值问题,并将其控制函数转化为近似的多项式函数优化问题。运用四阶Runge-Kutta差分迭代方法进行求解计算,从而得到各个阶段的最优控制函数和控制策略。结果表明,嫦娥三号软着陆过程耗时695s,消耗燃料1 269.1kg。     

基于冰情检测环境的无线传感器网络路由协议研究

结合冰凌测报无线传感器网络中传感器节点能量受限、节点随着冰凌的产生与流动会出现在河道断面局部观测区域的冰凌测报无线传感器网络拓扑结构不断变化这一特性,提出了对贪婪周边无状态路由协议GPSR的改进策略GFSRI(GPSR-Improved),改进算法中采用图论模型,借助网络模拟器NS2(Network Simulator 2),对GPSR算法以及改进的路由策略GPSRI进行了模拟仿真实验,对路由算法中涉及到的关键参数的相关实验数据进行了处理分析.模拟仿真实验及评估结果表明,GPSRI在数据包转发的路由跳数、源和目的节点间端到端的传输时延方面与GPSR相比有较大的性能改进.